Xmms and Bmp are broken applications about this stuff as they can't play perfectly gapless formats like musepack.
One trick is to use the crossfade plugin which does allow to remove the fade and just play tracks continuously without modifying the sound. When you configure it this way, you will get gapless playback with the musepack plugin. But then you just have to cross fingers due to the crossfade plugin instability...
Crossfade is an external plugin, you need to remove the fade options everywhere and just enable the gapless option which is just playing track B after track A without closing and opening the sound output.

I can confirm it working in xmms-musepack-alpha6. i didn't test it myself for recent versions.

About other players, I don't know. Chances are low they do support it though.